THE SHARPE RATIO

被引：1174

作者：

SHARPE, WF

机构：

来源：

JOURNAL OF PORTFOLIO MANAGEMENT | 1994年 / 21卷 / 01期

关键词：

D O I：

10.3905/jpm.1994.409501

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Sharpe's baby is often unrecognizable in its daily use by others. This article confronts a variety of definitions, both ex ante and ex post, with emphasis on differential returns rather than the return of one asset only. Hence, the ratio is designed to measure the expected returns per unit of risk for a zero-investment strategy. This feature relates the ratio to derivatives and swaps. The ratio, in important special cases, provides sufficient information for the selection of optimal strategies.

引用

页码：49 / 58

页数：10